Ent
r
o
p
y
2025, 27, 345
7 o
f
26
T
h
e
w
e
i
g
h
t
ω
sh
o
ws
t
h
e
i
mp
o
r
ta
n
c
e
o
f
e
ac
h
c
e
n
t
r
ality i
n
a fi
rm
;
t
h
e
r
e
f
o
r
e
,
w
e
ca
n
m
e
a
sur
e
t
h
e fi
rm
i
n
ve
s
to
r
s
e
n
ti
m
e
n
t co
nn
ecte
d
n
e
ss
a
s
4
Fi
r
mSenti
x
i
=
∑
j
=1
ω
j
C
i
j
,
(
14
)
w
h
e
r
e C
j
d
e
n
ote
s
t
h
e
n
et
w
o
r
k
c
e
n
t
r
a
lity
an
d
ω
j
i
s
t
h
e
w
eig
h
t o
b
t
a
i
n
e
d
f
r
o
m
t
h
e e
n
t
r
o
p
y
m
e
t
h
o
d
[
39
]
.
O
ur
s
e
n
ti
m
e
n
t co
nn
e
ct
e
dn
e
ss i
nd
e
x
ca
n
s
h
o
w
t
h
e
fu
ll s
p
illov
e
r
a
nd
co
nn
e
ctio
n
i
nf
o
r
ma
tio
n
o
f
a
fi
r
m
i
n
t
h
e
s
e
n
ti
m
e
n
t
n
et
w
o
r
k,
an
d
i
m
p
lie
s
t
ha
t
a
fi
r
m
w
it
h
a
h
ig
h
e
r
Fi
rmS
e
n
ti
x
h
a
s
m
o
r
e
s
e
n
ti
m
e
n
t
sp
illove
r
i
n
t
h
e
n
et
w
o
r
k.
2.2.
M
o
d
el I
d
enti
f
i
c
a
ti
o
n
a
n
d
V
a
r
i
ab
le
M
e
a
su
r
ements
T
h
i
s
p
a
p
e
r
c
h
oo
s
e
s
a fi
x
e
d-
e
ff
e
ct
m
o
d
e
l to i
d
e
n
ti
f
y t
h
e
i
mp
act o
f
s
e
n
ti
m
e
n
t co
nn
e
ct
e
d-
n
e
ss
o
n
c
r
a
sh
r
i
s
k. T
h
e
m
o
d
el ca
n
be e
x
pr
e
ss
e
d
a
s
CRASH
i,t
=γ
0
+ γ
1
CRASH
i,t−1
+ γ
2
Fi
r
mSenti
x
i,t
+ γ
3
DTURN
i,t
+ γ
4
R
O
E
i,t
i
+γ
5
MB
i,t
+ γ
6
LEV
,t
+ γ
7
SIZE
i,t
+ γ
8
O
paq
ue
i,t
+
θ
t
+ µ
i
+
ε
i,t
,
(
15
)
wh
e
r
e
CRASH
i,t
r
e
pr
e
s
e
n
t
s
t
h
e
c
r
a
sh
r
i
s
k
f
o
r
fi
rm
i i
n
y
e
a
r
t. Fi
r
mSenti
x
i,t
i
s
t
h
e
s
e
n
ti
m
e
n
t
co
nn
ecte
d
n
e
ss
o
f
fi
rm
i at yea
r
t.
θ
t
a
n
d
µ
i
a
r
e yea
r
a
n
d
fi
rm
d
umm
ie
s
.
Follo
w
i
n
g C
a
lle
n
an
d
F
an
g
(
2013
)
[
59
]
, E
q
u
a
tio
n
(
15
)
a
l
s
o i
nc
l
ud
e
s
v
a
r
io
u
s
m
u
lti
d
i
-
m
e
ns
io
n
al e
c
o
n
o
m
i
c
va
r
ia
b
le
s
a
s
c
o
n
t
r
ol va
r
ia
b
le
s
,
w
h
i
ch
a
r
e t
h
e lo
g
a
r
it
hm
i
c
total a
ss
et
s
(
SIZE
)
,
b
ook
-
to
-ma
r
ket
r
a
tio
(BM)
,
ass
et–li
ab
ility
r
a
tio
(
LEV
)
,
an
d
r
et
ur
n
o
n
n
et
ass
et
s
(
R
O
E
)
, as
w
e
ll as co
mp
a
n
y
-
s
p
e
cific
f
acto
r
s s
u
c
h
as i
nf
o
rm
atio
n
o
p
acity i
nd
icato
r
s
(
O
paq
ue
)
a
n
d
i
n
ve
s
to
r
d
ive
r
g
e
n
ce
s
t
r
e
n
g
t
h
(
DTRUN
)
. A
dd
itio
n
ally, to
m
iti
g
ate t
h
e
p
ote
n
tial la
g
e
f-
f
e
ct ca
u
s
e
d
by c
r
as
h
r
is
k
,
w
e
i
n
co
rp
o
r
at
e
t
h
e
la
g
ph
as
e
o
f
c
r
as
h
r
is
k
as a
n
a
dd
itio
n
al co
n
t
r
ol
va
r
iabl
e
. As t
h
e
t
r
a
d
i
n
g
a
nd
s
e
n
ti
m
e
n
t
m
ay b
e
i
n
fl
u
e
n
c
e
d
by
h
i
g
h-fr
e
q
u
e
n
cy t
r
a
d
i
n
g
(
H
F
T
)
,
w
e al
s
o co
ns
i
d
e
r
t
h
e HFT
m
a
r
ket
s
ize
(
HFT
)
i
n
t
h
i
s
p
a
p
e
r
. T
h
e
d
efi
n
itio
ns
o
f
t
h
e va
r
iable
s
us
e
d
i
n
t
h
i
s
s
t
u
d
y a
r
e
pr
ovi
d
e
d
i
n
A
pp
e
n
d
i
x
A.
Acco
rd
i
n
g
to Ki
m
e
t al.
(
2014
)
[
60
]
,
w
e
co
n
si
d
e
r
t
w
o c
r
as
h
r
is
k
m
e
as
ur
e
s.
W
e
calc
u
lat
e
fi
r
m-s
p
e
c
ifi
c
w
eekly
r
et
ur
ns
(
W
j
,τ
)
b
y t
a
ki
n
g t
h
e
na
t
ur
a
l log
a
r
it
hm
o
f
o
n
e
a
dd
e
d
to t
h
e
r
e
s
i
d
u
al ea
rn
i
n
g
s
fr
o
m
t
h
e e
x
te
n
d
e
d
m
a
r
ket
m
o
d
el
r
e
g
r
e
ss
io
n
f
o
r
eac
h
yea
r
a
n
d
fi
rm
.
r
j
,τ
=
α
j
+ β
1
j
r
m,τ−2
+ β
2
j
r
m,τ−1
+ β
3
j
r
m,τ
+ β
4
j
r
m,τ+1
+ β
5
j
r
m,τ+2
+
ε
j
,τ
,
(
16
)
wh
e
r
e
r
j
,τ
is t
h
e
r
e
t
urn
o
n
stoc
k
j
i
n
w
ee
k
τ.
r
m,τ−2
,
r
m,τ−1
,
r
m,τ
,
r
m,τ+1
, a
nd
r
m,τ+2
r
e
pr
e
s
e
n
t t
h
e
m
a
r
ket
r
et
u
rn
i
n
w
eek τ − 2, τ − 1, τ, τ + 1, a
n
d
τ + 2,
r
e
s
p
e
c
tively. T
h
e lea
d
a
n
d
la
g
te
rms
f
o
r
t
h
e
m
a
r
ket i
n
d
e
x
r
et
urn
a
r
e i
n
cl
u
d
e
d
to allo
w
f
o
r
n
o
n-s
y
n
c
hr
o
n
o
us
t
r
a
d
i
n
g
[
60
]
.
T
h
e fi
r
m-s
p
e
c
ifi
c
w
eekly
r
et
ur
ns
f
o
r
fi
r
m
j
i
n
w
eek τ
a
r
e
c
o
m
pu
te
d
b
y W
j
,τ
= 1 +
l
n
(1 +
ε
j
,τ
),
w
h
e
r
e
ε
i
s
t
h
e
r
e
s
i
du
al i
n
E
q
u
atio
n
(
16
)
. T
h
e
n
,
w
e
s
ele
c
t
n
e
g
ative
c
o
n
d
itio
n
al
r
et
u
rn
s
ke
w
n
e
ss
(
NCSKEW
)
a
s
a
m
ea
s
u
r
e o
f
ea
ch
c
o
m
p
a
n
y
’s
s
to
c
k
p
r
i
c
e
r
i
s
k, fi
gu
r
e
d
b
y
taki
n
g
t
h
e
n
e
g
ative o
f
t
h
e t
h
i
r
d
m
o
m
e
n
t o
f
fi
rm-sp
ecific
w
eekly
r
et
urns
f
o
r
eac
h
yea
r
a
n
d
d
ivi
d
i
n
g it
b
y t
h
e
c
u
b
i
c
s
ta
n
d
a
rd
d
eviatio
n
o
f
fi
r
m-s
p
e
c
ifi
c
w
eekly
r
et
ur
ns
. I
n
p
a
r
ti
c
u
la
r
,
w
e co
mpu
te t
h
e (NCSKEW)
f
o
r
eac
h
fi
rm
j
i
n
yea
r
t a
s
j
,t
T
3
T
2
3/2
NCSKEW=
−T(T − 1)
3/2
∑
τ=1
W
j
,τ
,
(
17
)
(T − 1)(T − 2)(
∑
τ=1
W
j
,τ
)
w
h
e
r
e T i
s
t
h
e
num
be
r
o
f
w
eekly
r
et
urns
d
ur
i
n
g
yea
r
t. A
h
i
g
h
e
r
NCSKEW i
n
d
icate
s
t
h
at
a
s
to
c
k i
s
m
o
r
e
pr
o
n
e to
c
r
ash
e
s
,
an
d
vi
c
e ve
r
sa
. A
n
ot
h
e
r
m
e
as
ur
e o
f
c
r
ash
r
i
s
k i
s
t
h
e
d
o
w
n-
to
-
up
vol
a
tility
(
DUV
O
L
)
. To
ca
l
c
u
l
a
te t
h
i
s
m
e
as
ur
e,
w
e
f
ollo
w
[
12
]
an
d
s
e
p
a
r
a
te
t
h
e
w
eek
s
w
it
h
fi
r
m-s
p
e
c
ifi
c
w
eekly
r
et
ur
ns
ab
ove t
h
e
ann
u
a
l
a
ve
r
a
ge
(
up
w
eek
s)
f
r
o
m
Ent
r
o
p
y
2025, 27, 345
9 o
f
26
4. E
m
p
i
r
ical Re
s
u
lt
s
4.1. Sentiment S
p
ill
o
v
e
r
Netw
o
r
k Am
o
ng S
&
P
500 St
o
cks
W
e
co
n
st
ru
ct a s
e
n
ti
m
e
n
t s
p
illov
e
r
n
e
t
w
o
r
k
b
e
t
w
ee
n
S&P
500 stoc
k
s
fr
o
m
2006 to 2021.
F
i
g
ur
e
1 s
h
o
w
s t
h
e
n
e
t
w
o
r
k
i
n
t
h
e
y
e
a
r
s 2007, 2008, 2019, a
nd
2020. I
n
e
ac
h
n
e
t
w
o
r
k
,
n
o
d
e
s
r
e
pr
e
s
e
n
t fi
rms
a
n
d
d
i
r
ecte
d
a
rr
o
w
s
sh
o
w
t
h
e
sp
illove
r
bet
w
ee
n
fi
rms
.
Fig
ur
e 2
a
d
e
p
i
c
t
s
t
h
e
c
u
m
u
l
a
tive
d
i
s
t
r
i
b
u
tio
n
o
f
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
f
o
r
t
h
e
ye
a
r
s
2008, 2009, 2019,
an
d
2020. T
h
e
r
e
s
u
lt
s
r
eve
a
l
a
h
ig
h
ly
h
ete
r
oge
n
eo
u
s
d
i
s
t
r
i
b
u
tio
n
p
att
e
rn
,
wh
e
r
e
m
ost
n
e
t
w
o
r
k
n
o
d
e
s
e
x
h
ibit li
m
it
e
d
s
e
n
ti
m
e
n
t li
n
k
a
g
e
s
wh
il
e
a s
m
all s
u
bs
e
t
d
e
m
o
ns
t
r
at
e
s
s
i
g
n
ifica
n
t co
nn
e
ctivity. Notably, c
r
i
s
i
s
p
e
r
io
ds
(
2008 a
nd
2020
)
d
i
sp
lay
m
o
r
e
pr
o
n
o
u
n
ce
d
h
ete
r
o
g
e
n
eity a
n
d
co
nn
ecte
d
n
e
ss
co
mp
a
r
e
d
to
n
o
n-
c
r
i
s
i
s
yea
rs
. T
h
i
s
fi
n
d
i
n
g
i
s
vi
s
u
ally
s
upp
o
r
te
d
b
y t
h
e flatte
r
d
i
s
t
r
i
b
u
tio
n
c
u
r
ve
s
o
bs
e
r
ve
d
du
r
i
n
g
cr
i
s
i
s
p
e
r
io
d
s
, a
s
o
pp
o
s
e
d
to t
h
e
s
tee
p
e
r
d
i
s
t
r
ib
u
tio
ns
s
ee
n
i
n
2007 a
n
d
2019.
It i
s
i
mp
o
r
ta
n
t to
n
ote t
h
at o
ur
s
e
n
ti
m
e
n
t
n
et
w
o
r
k
s
a
r
e
d
r
ive
n
by e
x
o
g
e
n
o
us
i
n
ve
s
to
r
be
h
avio
r
al
f
acto
rs
r
at
h
e
r
t
h
a
n
co
mp
a
n
y
fun
d
a
m
e
n
tal
s
. T
h
i
s
d
i
s
ti
n
g
u
i
sh
e
s
o
ur
s
t
u
d
y
fr
o
m
pr
evio
u
s
r
e
s
e
a
r
ch
o
n
fi
nanc
i
a
l
n
et
w
o
r
k
s
t
ha
t
f
o
c
u
s
e
d
o
n
b
u
s
i
n
e
ss
c
o
nn
e
c
tio
ns
[
24,31
]
o
r
pr
ice li
n
ka
g
e
[
22,28
]
. F
r
o
m
Fi
g
ur
e 1,
w
e fi
n
d
t
h
at t
h
e co
nn
ecte
d
n
e
ss
o
f
i
n
ve
s
to
r
s
e
n
ti
m
e
n
t
c
a
nn
ot
b
e
s
olely att
r
i
b
u
te
d
to
c
o
m
p
a
n
y fi
n
a
nc
ial
ch
a
r
a
c
te
r
i
s
ti
cs
. Fo
r
exa
m
p
le,
w
it
h
i
n
t
h
e
s
e
n
ti
m
e
n
t
n
e
t
w
o
r
k
, Am
a
z
o
n is i
n
fl
u
e
n
c
e
d
by
num
e
r
o
u
s ot
h
e
r
fi
rm
s,
wh
e
r
e
as J
P
M
o
r
g
a
n C
ha
se
a
n
d
G
o
ldm
a
n
S
a
chs,
d
e
s
p
ite
b
ei
n
g
g
lo
b
ally
r
e
c
o
g
n
ize
d
a
s
i
m
p
o
r
ta
n
t fi
n
a
nc
ial i
ns
tit
u
tio
ns
,
r
e
c
eive
f
e
w
e
r
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
f
r
o
m
ot
h
e
r
fi
r
ms
. T
h
i
s
p
h
e
n
o
m
e
n
o
n
h
ig
h
lig
h
t
s
t
h
e
p
ote
n
ti
a
l
f
o
r
a
fi
r
m
to e
s
t
ab
li
sh
c
o
nn
e
c
tio
ns
t
h
r
o
u
g
h
it
s
i
n
fl
u
e
nc
e o
n
an
ot
h
e
r
fi
r
m’s
s
e
n
ti
m
e
n
t, eve
n
w
it
h
o
u
t
d
i
r
e
c
tly
aff
e
c
ti
n
g o
w
n
e
r
sh
i
p
o
r
ass
et flo
w
s
. It
s
u
gge
s
t
s
t
ha
t
s
e
n
ti
m
e
n
t co
nn
ecte
d
n
e
ss
i
s
n
ot
s
olely
d
ete
rm
i
n
e
d
by t
h
e
pr
o
m
i
n
e
n
ce o
f
a fi
rm
.
(
a
)(
b
)(
c
)(
d
)
(
a
)
Fig
u
r
e 1. T
h
e
s
t
ru
c
t
ur
a
l
cha
r
ac
te
r
i
s
ti
c
ana
ly
s
i
s
o
f
s
e
n
ti
m
e
n
t
s
p
illove
r
n
et
w
o
r
k
s
.
(a)
sh
o
w
s
t
h
e
s
e
n
t
i
m
e
n
t
s
p
illov
e
r
n
et
w
o
r
k
i
n
2007
;
(b)
s
h
o
w
s
t
h
e
s
e
n
t
i
m
e
n
t
s
p
illov
e
r
n
et
w
o
r
k
i
n
2008
;
(
c
)
s
h
o
w
s
t
h
e
s
e
n
ti
m
e
n
t
sp
illove
r
n
et
w
o
r
k i
n
2019
;
(
d
)
sh
o
w
s
t
h
e
s
e
n
ti
m
e
n
t
sp
illove
r
n
et
w
o
r
k i
n
2020.
0.35 0.40 0.45
0.65 0.70
0.50 0.55 0.60
l
o
g(x*10)
1.5
1.0
0.5
0.0
0.5
1.0
l
o
g[
Pr
(X x)*10]
2007
2008
2019
2020
2006 2008
2010 2012 2014 2016 2018 2020
t
ime
0.04
0.05
0.06
0.07
0.08
0.09
0.10
0.11
ne
t
w
or
k densi
t
y
(
b
)
F
i
g
ur
e 2. T
h
e
s
t
ru
c
t
ur
al c
h
a
r
ac
te
r
is
t
ic o
f
s
e
n
t
i
m
e
n
t
s
p
illov
e
r
n
et
w
o
r
k
s.
(
a
)
is
t
h
e
c
umu
la
t
iv
e
d
is
t
r
ib
u
t
io
n
o
f
s
e
n
ti
m
e
n
t co
nn
e
ct
e
d
n
e
ss
f
o
r
t
h
e
y
e
a
rs
2008, 2009, 2019, a
n
d
2020
;
(
b
)
i
s
t
h
e
y
e
a
r
ly
n
e
t
w
o
r
k
d
e
ns
ity.
Ent
r
o
p
y
2025, 27, 345
11 o
f
26
A
s
ill
u
s
t
r
a
te
d
i
n
T
ab
le 2, t
h
e
r
eg
r
e
ss
io
n
c
oe
f
fi
c
ie
n
t
r
eve
a
l
s
a
p
o
s
itive
ass
o
c
i
a
tio
n
b
e
-
t
w
ee
n
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
an
d
s
to
c
k
pr
i
c
e
c
r
ash
r
i
s
k,
s
u
gge
s
ti
n
g t
ha
t
s
e
n
ti
m
e
n
t
co
nn
ecte
d
n
e
ss
co
n
t
r
ib
u
te
s
to t
h
e a
mp
lificatio
n
o
f
c
r
a
sh
r
i
s
k. T
h
i
s
m
i
g
h
t be beca
u
s
e t
h
at a
fi
rm
w
it
h
h
i
g
h
e
r
co
nn
ecte
dn
e
ss
h
a
s
a
g
r
eate
r
ca
p
acity a
nd
e
f
ficie
n
cy to
r
eceive a
nd
spr
ea
d
e
x
t
r
e
m
e
s
e
n
ti
m
e
n
t. T
h
e
g
e
n
e
r
al t
r
a
nsm
i
ss
io
n
o
f
t
h
e
s
i
g
n
al
pr
o
m
ote
s
f
o
rm
i
n
g
a
n
i
rr
atio
n
al
i
n
v
e
st
m
e
n
t at
m
os
ph
e
r
e
,
wh
ic
h
i
n
c
r
e
as
e
s i
nf
o
rm
atio
n
asy
mm
e
t
r
y a
nd
t
h
e
p
ossibility o
f
cov
-
e
r
i
n
g
“
ba
d
n
e
w
s
”
,
r
aisi
n
g
t
h
e
volatility o
f
stoc
k
pr
ic
e
s a
nd
c
r
as
h
pr
o
n
e
n
e
ss
[
65
]
.
O
ur
r
e
s
u
lts
a
l
s
o
ha
ve e
c
o
n
o
m
i
c
m
e
an
i
n
g
s
, t
ha
t i
s
,
a
chan
ge o
f
o
n
e
s
t
an
d
a
rd
d
evi
a
tio
n
i
n
Fi
r
m
S
e
n
tix
r
e
su
lt
s
i
n
a
n
a
ppr
o
x
i
m
ately 11.4
%
(1.2895 × 0.0518/0.5845) i
n
c
r
ea
s
e i
n
NCSKEW.
4.3. R
o
b
ust Test
4.3.1. E
n
d
o
g
e
n
eity
:
I
ns
t
rum
e
n
tal Va
r
iable
s
To eli
m
i
n
ate t
h
e
p
ote
n
tial e
ff
ect
s
o
f
e
n
d
o
g
e
n
eity o
n
o
ur
r
e
su
lt
s
, t
h
i
s
s
t
u
d
y
s
elect
s
t
h
e
i
n
st
rum
e
n
tal va
r
iabl
e
s
(
IVs
)
o
f
i
nd
e
p
e
nd
e
n
t va
r
iabl
e
s.
S
i
m
ila
r
to Hao a
nd
Xio
n
g
(
2021
)
[
66
]
,
w
e
s
ele
c
t t
h
e
a
ve
r
a
ge v
a
l
u
e o
f
i
n
ve
s
to
r
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
to ot
h
e
r
fi
r
ms
i
n
t
h
e
i
d
e
n
tical
s
tate
(
Inst
r
ument_S
)
a
n
d
t
h
e ave
r
a
g
e val
u
e o
f
i
n
ve
s
to
r
s
e
n
ti
m
e
n
t co
nn
ecte
d
n
e
ss
to
ot
h
e
r
fi
rms
i
n
t
h
e i
d
e
n
tical i
n
d
us
t
r
y
(
Inst
r
ument_I
)
, t
h
at i
s
,
Inst
r
ument_S =
∑
j
∈st
a
te
Fi
r
mSenti
x
j
/(n − 1),
(
19
)
Inst
r
ument_I =
∑
j
∈i
n
d
u
st
ry
Fi
r
mSenti
x
j
/(m − 1),
(
20
)
w
h
e
r
e
∑
st
a
te
Fi
r
mSenti
x
i
s
t
h
e
s
u
m
o
f
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
i
n
t
h
e
sam
e
s
t
a
te,
an
d
n i
s
t
h
e
n
u
mb
e
r
o
f
fi
r
ms
i
n
t
h
e
sam
e
s
t
a
te.
∑
i
n
d
u
st
ry
Fi
r
mSenti
x
i
s
t
h
e
s
u
m
o
f
s
e
n
ti
m
e
n
t
co
nn
e
ct
e
dn
e
ss
i
n
t
h
e
s
a
m
e
i
ndus
t
r
y, a
nd
m i
s
t
h
e
num
b
e
r
o
f
t
h
e
fi
rms
i
n
t
h
e
s
a
m
e
i
ndus
t
r
y.
F
ur
t
h
e
r
m
o
r
e,
s
i
nc
e t
h
e
r
e
ma
y
b
e
a
m
u
t
u
a
l
ca
u
sa
l
r
el
a
tio
nsh
i
p
b
et
w
ee
n
t
h
e
c
urr
e
n
t
s
to
c
k
p
r
i
c
e
cr
a
sh
r
i
s
k a
n
d
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
,
w
e a
dd
t
h
e
c
u
rr
e
n
t
s
to
c
k
p
r
i
c
e
cr
a
sh
r
i
s
k
a
s
a co
n
t
r
ol va
r
iabl
e
to t
h
e
fi
rs
t
-s
ta
g
e
r
e
g
r
e
ss
io
n
. To avoi
d
t
h
e
i
mp
act o
f
t
h
e
co
mp
a
n
y
’s
s
tock
pr
ic
e
c
r
a
sh
r
i
s
k
fr
o
m
t
h
e
pr
e
vio
us
y
e
a
r
o
n
t
h
e
c
urr
e
n
t
s
ta
g
e
,
w
e
a
dd
o
n
e
-
y
e
a
r-
la
gg
e
d
s
to
c
k
p
r
i
c
e
cr
a
sh
r
i
s
k to t
h
e
s
e
c
o
n
d
s
ta
g
e. T
h
e
r
e
s
u
lt
s
o
f
t
h
e t
w
o
-s
ta
g
e
r
e
g
r
e
ss
io
n
p
r
o
c
e
ss
a
r
e
sh
o
w
n
i
n
Table 3.
T
h
e
fi
r
st
r
e
g
r
e
ssio
n
sta
g
e
is s
h
o
wn
i
n
t
h
e
fi
r
st col
umn
o
f
Tabl
e
3.
S
e
n
ti
m
e
n
t co
nn
e
ct
e
d-
n
e
ss
i
s
p
o
s
itively
c
o
rr
elate
d
w
it
h
t
h
e
s
e t
w
o i
ns
t
r
u
m
e
n
tal va
r
ia
b
le
s
at t
h
e 1
%
s
i
g
n
ifi
c
a
nc
e
l
e
v
e
l. T
h
e
r
e
su
lt
s
o
f
t
h
e
s
e
co
nd
r
e
g
r
e
ss
io
n
s
ta
g
e
a
r
e
sh
o
wn
i
n
t
h
e
s
e
co
nd
col
umn
o
f
Tabl
e
3.
T
h
e i
n
ve
s
to
r
s
e
n
ti
m
e
n
t
c
o
nn
e
c
te
d
n
e
ss
i
s
p
o
s
itively
c
o
rr
elate
d
w
it
h
s
to
c
k
pr
i
c
e
c
r
a
sh
r
i
s
k
(
β = 29.885
)
, a
n
d
t
h
e
s
i
g
n
ifica
n
ce level i
s
1
%
. T
h
e
r
e
f
o
r
e, t
h
e e
n
d
o
g
e
n
eity a
n
aly
s
i
s
supp
o
r
t
s
o
ur
m
ai
n
r
e
su
lt
s
.
Ta
b
le 3.
S
e
n
ti
m
e
n
t co
nn
ecte
d
n
e
ss
a
n
d
c
r
a
sh
r
i
s
k
:
i
ns
t
rum
e
n
t va
r
iable
m
et
h
o
d
.
Va
r
ia
b
le
NCSKEW
i,t−1
Col
u
m
n
(
1
)
Fi
r
mS
e
n
t
i
x
i,
t
Fi
r
mSenti
x
i,t
Col
u
m
n
(
2
)
NCSKE
W
i,
t
29.8850 ***
(
10.28
)
−0.0970 ***
(
−7.91
)
NCSKEW
i,t
Inst
r
umet_I
i,t
Inst
r
ument_S
i,t
DTURN
i,t
0.0021 **
(
2.35
)
1.1341 ***
(
7.79
)
0.1348 **
(
2.11
)
−0.0004
(
−1.27
)
0.0105 ***
(
4.30
)
Ent
r
o
p
y
2025, 27, 345
24 o
f
26
A
h
i
g
h
S
y
nc
h
i,t
i
n
d
icate
s
t
h
at t
h
e fi
rm
i
s
h
i
g
h
ly co
rr
elate
d
w
it
h
t
h
e
m
a
r
ket.
Refe
r
e
n
ce
s
1. C
h
o
n
g
, E.
;
Ho, C.C.
;
O
n
g
, Z.F.
;
O
n
g
, H.H. U
s
i
n
g
n
e
w
s
s
e
n
ti
m
e
n
t
f
o
r
eco
n
o
m
ic
f
o
r
eca
s
ti
n
g
:
A
M
alay
s
ia
n
ca
s
e
s
t
u
d
y. I
n
M
a
c
h
ine
Le
a
r
ning in Cent
r
a
l
B
a
nking
;
B
a
n
k
f
o
r
I
n
t
e
rn
atio
n
al
S
e
ttl
e
m
e
n
t
s
, E
d
.
;
Vol
um
e
57 o
f
IFC
Bu
ll
e
ti
ns
C
h
a
p
t
e
rs
;
B
a
n
k
f
o
r
I
n
t
e
rn
atio
n
al
S
ettle
m
e
n
t
s
:
B
a
s
el,
S
w
itze
r
la
n
d
, 2022.
2. Co
rr
e
a
, R.
;
G
a
rud
, K.
;
Lo
n
d
o
n
o,
J
.
M
.
;
M
i
s
l
an
g, N.
S
e
n
ti
m
e
n
t i
n
c
e
n
t
r
a
l
ban
k
s’
fi
nanc
i
a
l
s
t
ab
ility
r
e
p
o
r
t
s
. Re
v
. Fi
n
a
n
c. 2021,
25, 85–120.
3.
B
e
nn
a
n
i, H. Ce
n
t
r
al ba
n
k co
mmun
icatio
n
i
n
t
h
e
m
e
d
ia a
n
d
i
n
ve
s
to
r
s
e
n
ti
m
e
n
t. J. Ec
o
n.
B
e
ha
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